Table 7 Results for the inefficiency... | Emerald Publishing

Table 7

Results for the inefficiency index for 1,250 observations (Hurst1250)

Inefficiency index (Hurst – 0.50)	1,250 obs. window
Models	1	2	3	4	5
Country/Stock Index	47	47	47	47	43
Observations	2,25,789	2,33,463	84,735	84,735	84,735

	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)
Fixed effects
Intercept	0.055	***	0.062	***	0.017	**	−0.001		0.001	***
Time	0.000	***	0.000	***	0.000	***	0.000	***	0.000	***
Bond yield 10 years	0.002	***					0.003	***
Bond yield 5 years			0.002	***					0.001	***
Bond yield spread					0.000		−0.003	***	−0.001	**
Bond yield spread (t−1)					0.001		0.001		0.001
Bond yield spread (t−2)					0.001		0.001		0.001
Random effects (Estimated Variance)
Country/Stock Index	0.002		0.002		0.002		0.002		0.002
Observations	0.001		0.001		0.001		0.001		0.001
Intraclass correlation Coefficient
Level 2 (Country/Stock Index)	0.594		0.583		0.642		0.652		0.647
Level 1 (Time)	0.406		0.417		0.358		0.348		0.353
Robustness checks
Multilevel × Linear model (χ²)	1.7E+05	***	1.8E+05	***	72607.29	***	70580.81	***	71239.61	***
Wald χ²	51817.06	***	58879.74	***	993.3	***	1119.72	***	1027.66	***

	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)	Coef.	P(z)
Fixed effects
Intercept	0.055	***	0.062	***	0.017	**	−0.001		0.001	***
Time	0.000	***	0.000	***	0.000	***	0.000	***	0.000	***
Bond yield 10 years	0.002	***					0.003	***
Bond yield 5 years			0.002	***					0.001	***
Bond yield spread					0.000		−0.003	***	−0.001	**
Bond yield spread (t−1)					0.001		0.001		0.001
Bond yield spread (t−2)					0.001		0.001		0.001
Random effects (Estimated Variance)
Country/Stock Index	0.002		0.002		0.002		0.002		0.002
Observations	0.001		0.001		0.001		0.001		0.001
Intraclass correlation Coefficient
Level 2 (Country/Stock Index)	0.594		0.583		0.642		0.652		0.647
Level 1 (Time)	0.406		0.417		0.358		0.348		0.353
Robustness checks
Multilevel × Linear model (χ²)	1.7E+05	***	1.8E+05	***	72607.29	***	70580.81	***	71239.61	***
Wald χ²	51817.06	***	58879.74	***	993.3	***	1119.72	***	1027.66	***

Note(s): * sig. 10%; ** sig. 5%; *** sig. 1%. Estimation by restricted maximum likelihood model (REML)

Source(s): Research data